On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

DOI10.1007/s00780-007-0049-1zbMath1145.91020OpenAlexW2109082027MaRDI QIDQ2463722

Elisa Alòs, Josep Vives, Jorge A. Leon

Publication date: 16 December 2007

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10230/986

zbMATH Keywords

Black-Scholes formuladerivative operatorjump-diffusion stochastic volatility modelItô's formula for the Skorohod integral

Mathematics Subject Classification ID

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Uses Software

• Mathematica

Cites Work

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• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• Singular Perturbations in Option Pricing
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
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• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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• Stochastic calculus with respect to Gaussian processes

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